國際重大事件對台灣金融產業股價的影響

Impact of International Major Events on Stock Prices of Taiwan’s Financial Industry

胡綰臻(Wan-Chen Hu)

指導教授 ： 蔡璧徽

國立交通大學/管理學院/管理科學系所/碩士(2017年)

摘要

本研究以台灣所有上市上櫃的金融產業為樣本，探討2008年至2016年共九年期間，所發生的全球七件重大金融、經濟與政治事件，探討國際重大事件對台灣金融產業股票市場的影響，是否符合財務感染理論，以金融產業的股價與各國重大事件進行研究，並闡述從眾理論對投資人投資行為之影響。並延伸，研究探討國際金融事件與國際非金融事件，對台灣上市上櫃金融產業股價異常報酬之影響，以及對台灣上市上櫃金控業股價異常報酬之影響。
本研究採用事件日研究法探討相關異常報酬，經實證發現，國際重大事件發生期間，台灣金融產業之股價會產生異常報酬；且以ANOVA分析結果顯示，金融業與金控業中，國際金融事件皆較國際非金融事件之股價異常報酬更為顯著。國際重大事件期間，其他市場的價格變動，導致台灣市場受到衝擊，符合財務感染理論，且投資者對金融業股市產生非理性的從眾行為，以致市場有顯著的異常報酬。

關鍵字

財務感染理論 ； 金融產業 ； 異常報酬

並列摘要

In this study, we research seven global financial, economic and political events from 2008 to 2016, by discussing the impact of international major events on stock prices of Taiwan’s financial industry. We focus on Taiwan’s listed financial companies as our target samples. Discussing whether the impacts correspond with Financial Contagion Theory. In addition, this study elaborates Herding Theory’s impact on investors. Moreover, we observe the impact of international financial events and international non-financial events on the abnormal returns of Taiwan's listed financial industry, as well as the abnormal returns of Taiwan's listed financial holding companies.
This study uses Event Study Method to observe the abnormal returns. The result shows that Taiwan financial market had abnormal returns when international major events happened. ANOVA analysis results show that impact of international financial events is larger than international non-financial events in Taiwan’s financial industry. Financial holding companies have same results, too. During the international major events, a price movement in other market causes a shock in Taiwan’s market, which proves Financial Contagion Theory. In addition, investors’ irrational herd behaviors also resulted in a significant abnormal return in the financial industry stock market.

並列關鍵字

Financial Contagion Theory ； Financial Industry ； Abnormal Returns

參考文獻

一、英文文獻

Allen, F., & Gale, D. (2000). Financial contagion. Journal of Political Economy, 108(1), 1-33.

Amini, H., Cont, R., & Minca, A. (2016). RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. Mathematical Finance, 26(2), 329-365.

Bernanke, B., & Gertler, M. (1989). Agency costs, net worth, and business fluctuations. The American economic review, 14-31.

Bernanke, B. S. (1983). Non-monetary effects of the financial crisis in the propagation of the Great Depression: National Bureau of Economic Research Cambridge, Mass., USA.